Fokker–Planck Equation
Natural & Formal Sciences Dictionary
Definition
A parabolic partial differential equation that describes the time evolution of the probability density function of the state of a stochastic process, typically the diffusion limit of a stochastic differential equation's law.
Fokker–Planck Equation
- Natural & Formal Sciences -
Mathematics & Logic Dictionary
Definition
A partial differential equation (also called the forward Kolmogorov equation) that governs the time evolution of the probability density function of a Markov diffusion process by encoding drift and diffusion (noise) terms.